Replies to post #21572 on ETF SWING & DAY TRADING

[jimapplesmith]

In the table below, 1x return is from wild_card's v3.1 logic. It is close to what wild_card posted before, but not exact match.

2x return is computed by doubling the dollar amount of the daily gain or loss. (In the previous post, results were obtained by doubling the daily percentage gain or loss. quite a bit difference.)

All using NDX EOD data.

Year 2x Return 1x return
1986 35.55% 17.73%
1987 121.00% 58.18%
1988 55.15% 26.41%
1989 50.91% 23.96%
1990 27.03% 15.39%
1991 280.83% 99.48%
1992 79.59% 36.64%
1993 88.12% 39.17%
1994 52.64% 25.25%
1995 216.92% 82.47%
1996 211.17% 80.96%
1997 211.72% 83.15%
1998 187.03% 78.66%
1999 241.66% 95.47%
2000 62.64% 49.41%
2001 37.42% 36.10%
2002 79.87% 46.96%
2003 56.66% 29.33%
2004 103.05% 44.92%
2005 21.08% 11.10%
86-95 avg 100.77% 42.47%
96-05 avg 121.23% 55.61%
20 yr avg 111.00% 49.04%

compound 97.52 46.60%

[ajtj99]

I would still suggest it will be almost impossible to trade with such a system if the win/loss record remains at less than 50% as this system was the last time I saw. Furthermore, the possible drawdowns are huge if what I remember seeing is correct. It was something like 74% or so.

Until a drawdown is closer to 10% and win/loss is closer to 60%, I think it's a system that can work on paper but not in real life with humans pulling the strings.